How quant trading strategies are developed and tested w/ Ernie Chan 

+WallStWarLord - yeah, Ernie's great. I've also read one of his books, which was really good.

Ernie's books are the first to truly open me up to modern finance and trading. before his books there was nothing but heavy fog in my understanding. I'm really lucky that I landed on his material

does anyone know his performance stats?

Speak for yourself. I hate when ass kissers speak for others. He's a smart guy obviously but look at the facts and his success as trader rather than whatever his IQ or insights are. He knows what he's talking about it seems but at the end of the year people want the bottom line performance, regardless of intelligence level. Calm down cheerleader.

@@ChatWithTradersPodcast what's his books?

Can you differentiate the charlatans? Curious how you know.

@@90deltaderivatives35 There's no rigid criteria - have to decide for yourself. Some heuristics could be: Do they have something to sell, from which they derive a majority of their income? Are they excessively self-promoting in the podcast? Do they lack relevant employment experience? Extensive employment at well-known firms - like Ernie here - would be a good indicator of honesty.

@@We_Have_Ignition MAYBE.. BUT one could be blinded by the "job history " OR "accreditation" of the subject.. this type of charlatan is one that often gets over on "intelligent" people!

@@amgineco exactly my friend, that was kinda what I was getting at. I would consider myself to have a very good bullshit detector, but until someone gets extremely in depth into a subject you kind of truly never know, especially if they have a good tenure.

@@amgineco of course there are “vibes” and intuitive feelings into this as well.

How did it go

In no way a discussion, but Ernie was great to listen to as always.

easy. just look at performance systematic funds like citadel vs [primarily] prop shops like jane st and family owned hedge funds. in my exp, systematic beats discretionary except when discretionary has insider info

Insider info is against the rules of trade and shouldn’t be considered in a comment such as yours unless jealousy is a factor. Sometimes a group of intelligent traders may outperform algos in a server farm; that’s no reason to throw rocks in the glass house. Market is ever changing.

Of course though.. sharing expertise NOT the same as sharing "the system"..

Have you developed a quant model to trade so far?? if yes how did it go

​@@kwekuodum7271 Many many many. Most of them failed due to classic over-engineering issues, others failed due to being too dependent on specific regimes. I am managing a sizable sum of cash still but it's a mixture of approaches 1. Long/Short equity options portfolios (with some futures options added in) 2. My own Rebalancing portfolio designs with ETFs. ETFs are the best instrument, if you can imagine it, there is an ETF for it.

@louis Dwyer have you thought of using python machine learning and data structures to derive news feed from Bloomberg and other resources to influence your trading decisions or better put develop algo’s & quant models to trade on your behalf on the forex exchange market, because it very volatile and I think there’s a lot of potential there , that’s where Renaissance technologies capitalized more

are u saying quantifying news sentiment ?

Causality ?

how is that the implication from that statement? it is ideal to want a higher sharpe ratio

Turned on.

+Mr International - thanks, I'm glad you liked the interview. I believe Ernie does some workshops, he also writes on his blog and has a couple books. You can find links to all of this in the show notes here: chatwithtraders.com/ep-052-ernie-chan/

@@ThomasCCook I took a look at the EPAT program from your link. Having probably completed it by now, do you still recommend it? Any negatives? Thanks!

@@immortalsofar7977 YES. I highly recommend it. They have an incredible program for the cost. They have several free courses you can try via Quantra to get an idea of the quality of content. But yes, I highly recommend their program.

Yes, many of us do forward (validation) testing as well. For banking it is required.

@@DimitriBianco hello

Nope. Chinese Kumar.

They just learn enough math to do it. It's quite small amount to learn.

NO

@@NM-ex4jk Not All , You need to cover Stochastic , Markov Chains , Complex Analysis ,Group Theory .....(and many other that I forget to mention)

@@NM-ex4jk All the info are avaible online for free , there's a reason why top Bank only hire PhD student for those job , and even in quant curriculum those course are clearly stated.

@@NM-ex4jk You was referencing about Quant and mention KhanAcademy (that's complete nonsense) , I do trade using Price Action not Quant and yes I'm aware that's only 5% of Trading but for this discussion, the remaining 95% doesn't matter as we are talking about Quant foundation , KhanAcademy can't provide you that , which real experience do you need for that (common sense perhaps...)?

There is nothing to learn, u only need to experiment everything

@@raymondphilip6232 you tried everything

@@prashantpatadia2586 yep i tried everything and made my own system

@@raymondphilip6232 that's great

what lanaguages do you need to learn